智能贝塔管理型交易所交易基金的溢出效应、风险效应和杠杆效应

IF 1 Q3 ECONOMICS

Global Economy Journal Pub Date : 2022-01-06 DOI:10.1142/s2194565921500160

Jo-Hui Chen, Nicholas Edwards

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引用次数: 1

摘要

本研究使用两种不同的GARCH模型来衡量主动、被动和智能贝塔管理的交易所交易基金(etf)的溢出效应、风险和杠杆效应。etf和其中的新类别越来越受欢迎，特别是智能贝塔管理的增长，意味着资产管理公司和投资者在根据适应性投资方法(AIA)确定投资组合敞口时，有了新的指标需要考虑。结果表明，各群体在溢出效应方面存在显著的相关性。在包括被动、主动和小贝塔在内的三种管理类型中，观察到积极的多边回报溢出趋势，其中智能贝塔显示出双边积极效应的最高百分比。波动性溢出效应最强烈的是主动型etf。风险结果的检验不显著，但杠杆效应结果与以往的研究一致，显示出显著的负双向效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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THE SPILLOVER, RISK AND LEVERAGE EFFECTS OF SMART BETA MANAGEMENT EXCHANGE-TRADED FUND (ETF)

This research uses two different GARCH models to measure spillover, risk, and leverage effects of active, passive, and smart beta management Exchange-traded Funds (ETFs). The increase in popularity of ETFs and new categories within them, specifically the growth of smart beta management, means asset managers and investors have new metrics to account for when determining portfolio exposure following the Adaptive Investment Approach (AIA). The results show significant relationships among all groups regarding the spillover. A trend of positive multi-lateral spillover of returns among the three management types including passive, active and small beta is observed with smart beta showing the highest percentage of a bi-lateral positive effect. The strongest spillover of volatility effects is among the actively managed ETFs. The testing of risk results is insignificant, but the leverage effect results are consistent with the past studies showing the significant negative bi-lateral effect.

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来源期刊

Global Economy Journal ECONOMICS-

CiteScore

1.60

自引率

14.30%

发文量

期刊介绍： The GEJ seeks to publish original and innovative research, as well as novel analysis, relating to the global economy. While its main emphasis is economic, the GEJ is a multi-disciplinary journal. The GEJ''s contents mirror the diverse interests and approaches of scholars involved with the international dimensions of business, economics, finance, history, law, marketing, management, political science, and related areas. The GEJ also welcomes scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations. One over-arching theme that unites IT&FA members and gives focus to this journal is the complex globalization process, involving flows of goods and services, money, people, and information.